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20122022
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2014 · math.PRShow all

2 papers · 2 filters

math.PR2014★ 35 cited

Convergence and regularity of probability laws by using an interpolation method

V. Bally, L. Caramellino

In [18] Fournier and Printems establish a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with Hölder continuous c…

math.PR2014★ 1 cited

Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

Roxana Dumitrescu, Céline Labart

We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian mo…